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Wow that's nuts.

Found this on Covel's website: <object width="560" height="340"><param name="movie" value="http://www.youtube.com/v/qcPD9AmVdl0&hl=en&fs=1&"></param><param name="allowFullScreen" value="true"></param><param name="allowscriptaccess" value="always"></param><embed...

Like you waited to see what happens around SPX 500?

If you look at Mebane Faber's paper, the results of his approach are exactly the same: trend following offers similar nominal returns to buy & hold but drastically improved risk characteristics. As you may recall, he uses highly liquid asset classes only, hence IMO your "only works on illiquid...

Hey Surf, how have you been? :cool:

IMO it does. If nominal profits is all you're after and you don't care about drawdowns you can use leverage on the above system and suddenly you have a system that has the same (historical) drawdown as the benchmark but double the profits. Most diversified futures trendfollowing systems are...

Yes obviously you are right. The SP500 is not a good benchmark. But: the maximum drawdown even against the VAY (which is a "fair" benchmark even though doesn't account for slippage nor for transaction costs!) was cut in half by the Blackstar Funds approach, out of sample (!). Isn't that...

Remember VAY is rebalanced daily without slippage nor transaction costs. It is not an investable index.

You can look at the Value Line Arithmetic Index, see http://finance.yahoo.com/q?s=^VAY. It is an equal weight index of around 1800 US stocks that is rebalanced daily, free of survivorship bias. It had a 60% max drawdown in 2008. The Blackstar stock system had half of that: 29.3%. This was out of...

Beta can cut both ways :cool:

Roubini's Das Is Emerging-Market Bull on Carry Trade http://www.bloomberg.com/apps/news?pid=20601087&sid=aXZMYXqR9lII&pos=5 So not a bubble anymore? Carry trade not about to blow up? Roubini's crew appears to be a tad confused.

Like the Bank of England set an example earlier this decade when they sold gold?

Of course. The credit worthiness of the US would improve once they unilaterally cancel obligations to their own citizens, however credit worthiness would deteriorate if they defaulted on national debt.

I've said it before. VN looks at the SP500 or Nasdaq index, tests if buying X consecutive positive daily closes makes any money. He finds it doesn't and hence declares all trend following (which trades 70+ markets, not just one stock index) is a losing strategy over all time frames. No...

The 80s were full of doom and gloom of the "Japanese taking over" and "buying up America". Watch Bladerunner for a sample (a movie shot in the 80s), the L.A. of 2020 there is full of Japanese language billboards.

The Dollar collapsed 50% in the 80s.

Here's reality, from my humble perch: * Markets are neither random nor efficient * Value investing/merger arb/trend following/global macro/relative value etc. all are working more or less well at exploiting these inefficiencies * No strategy is better or worse than all the others all the...

What I see a lot is traders discrediting the trading approaches of others. * Scalpers ridiculing quants * Value investors ridiculing growth investors * Counter trend traders (VN) attacking trend followers * Trend followers ridiculing value investors Few of the above have ever testing...

And that's EXACTLY what trend following is all about. A tiny statistical edge. As long as the majority of market participants trade on "market top and bottom calls", fundamental analysis or according to simple bubble/panic herd behavior then trend following will work.

I tested a number of trendfollowing models on randomly generated price series data (normal distributed price changes) in Excel. It produced an expected profit of exactly ZERO, just as expected. Then I tested them on 25 years of financial data and they produced superior risk/reward profits...